I agree with Miek here. Cave Story is by far the greatest free game I have every played. Great story, characters, weapons, the graphics fit well with the game, etc. If you haven't tried it yet, you have to go download it immediatly.
And the amount of secrets there are... I mean, there's a whole secret final level, with a secret uber-boss! And tons of weapons, I mean tons, each with their own rate of fire, and abilities, and level up techniques. And all of the boss fights give you a nice challenge, without being overly powerful (last boss being a possible exception) so their's a good feeling of balance. This game is great. As Miek said, given the choice between most current-generation console games and Cave Story, I'd have to pick Cave Story.
Misery and Balrog rule!